Commit b225a85
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Clarify pros, cons and limitations of Cholesky and LDLt (#621)
I find it worth pointing out explicitly in the docs that LDLt, which
mathematically looks like a drop-in replacement for Cholesky that does
away with the positive definiteness requirement, comes with the
following caveats:
* It fails for a lot of matrices (for example,
`ldlt(Symmetric(sprandn(1000, 1000, p)))` basically never succeeds for
any relevant sparsity `p`) due to the requirement that all leading
principal minors be well-conditioned
* In CHOLMOD, `ldlt` is significantly slower than `cholesky` as it does
not have a supernodal implementation
So I made some docstring edits to clarify the relationship and tradeoffs
between `cholesky` and `ldlt`.
Citation for these claims: pages 106-107 in the CHOLMOD user guide at
https://github.com/DrTimothyAldenDavis/SuiteSparse/blob/v7.10.3/CHOLMOD/Doc/CHOLMOD_UserGuide.pdf1 parent 3d42644 commit b225a85
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